U.S. RMBS market

• ’04 momentum has carried over into 2005

  • 1Q05 issuance is up 71%

• Expected decline of 20% has been mitigated by:

  • Continued low interest rate environment
  • Less interest-rate sensitive Alt-A and Sub-prime transactions represent an increasing component of RMBS
  • Growing share of non-agency share of mortgage originations is being securitized

’99-’04 CAGR = 38.3%

71.2%

$ in billions

Source: Harrison Scott Publications / Standard & Poor’s. Data by domicile of assets. Prime includes Alt-A. Other includes sub-prime, home equity, NIMs; excludes confidential transactions

RMBS Issuance

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